Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to c...

This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to Se...

Simulation-and-regression algorithms have become a standard tool for solving dynamic programs in many areas, in particular financial engineering and computat...

We introduce an efficient approach to evaluate counterparty risk and compute the Credit Value Adjustement for derivatives having early exercise features. The...

Commercial piracy and counterfeiting are widespread phenomena in different businesses, ranging from software and video games to luxury fashion products. Th...

A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. S...

Since its inception, stochastic Data Envelopment Analysis (DEA) has found many applications. The approach commonly taken in stochastic DEA is via chance cons...

In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the p...

We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

First-generation R&D-based endogenous growth models have been criticized because they predict strong scale effects (growth rate proportional to the size of...

We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

This paper studies a districting problem which arises in the context of financial product pricing. The challenge lies in partitioning a set of small geogra...

We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

We consider a differential game with a corrupt government and civil society as its players. We characterize open-loop and feedback Nash equilibria and find...

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a gener...

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...